Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models (Q5044696): Difference between revisions

Latest revision as of 16:44, 30 July 2024

scientific article; zbMATH DE number 7611131

Language	Label	Description	Also known as
English	Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models	scientific article; zbMATH DE number 7611131

Statements

instance of

scholarly article

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title

Markov (Set) chains application to predict mortality rates using extended Milevsky–Promislov generalized mortality models (English)

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author

Piotr Śliwka

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published in

Journal of Applied Statistics

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publication date

2 November 2022

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zbMATH Keywords

forecasting

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hybrid mortality models

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switched models

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Lee-Carter model

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ito stochastic differential equations

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Markov (Set) chains

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/02664763.2021.1967891

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cites work

Statistical Inference about Markov Chains

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Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities

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Affine processes for dynamic mortality and actuarial valuations

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Stochastic mortality under measure changes

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Modelling and management of mortality risk: a review

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A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States

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Tests of Equality Between Sets of Coefficients in Two Linear Regressions

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Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts

0 references

Modelling and forecasting mortality in Spain

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A stochastic model for mortality rate on italian data

0 references

Mortality, longevity and experiments with the Lee-Carter model

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On age-period-cohort parametric mortality rate projections

0 references

Mortality modelling with Lévy processes

0 references

Markov set-chains

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A dynamic parameterization modeling for the age-period-cohort mortality

0 references

Dynamic modelling of life table data

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Switching in systems and control

0 references

Modelling stochastic mortality for dependent lives

0 references

Mortality derivatives and the option to annuitise.

0 references

Survival models in a dynamic context: a survey

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On stochastic mortality modeling

0 references

On the forecasting of mortality reduction factors

0 references

Lee-Carter mortality forecasting with age-specific enhancement.

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A cohort-based extension to the Lee-Carter model for mortality reduction factors

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Calibrating affine stochastic mortality models using term assurance premiums

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Affine stochastic mortality

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MARKOV CHAINS AS A TOOL MEASURING EFFECTIVENESS OF A PSYCHOTHERAPY PROCESS

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A proposition of generalized stochastic Milevsky–Promislov mortality models

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Application of the Markov Chains in the Prediction of the Mortality Rates in the Generalized Stochastic Milevsky–Promislov Model

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An equilibrium characterization of the term structure

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Identifiers

DOI

10.1080/02664763.2021.1967891

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5044696

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/02664763.2021.1967891
+Normal rank
@@ Property / OpenAlex ID @@
+W3195247732
@@ Property / OpenAlex ID: W3195247732 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical Inference about Markov Chains
@@ Property / cites work: Statistical Inference about Markov Chains / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
+Normal rank
@@ Property / cites work @@
+Affine processes for dynamic mortality and actuarial valuations
+Normal rank
@@ Property / cites work @@
+Stochastic mortality under measure changes
@@ Property / cites work: Stochastic mortality under measure changes / rank @@
+Normal rank
@@ Property / cites work @@
+Modelling and management of mortality risk: a review
+Normal rank
@@ Property / cites work @@
+A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
+Normal rank
@@ Property / cites work @@
+Tests of Equality Between Sets of Coefficients in Two Linear Regressions
+Normal rank
@@ Property / cites work @@
+Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
+Normal rank
@@ Property / cites work @@
+Modelling and forecasting mortality in Spain
@@ Property / cites work: Modelling and forecasting mortality in Spain / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic model for mortality rate on italian data
+Normal rank
@@ Property / cites work @@
+Mortality, longevity and experiments with the Lee-Carter model
+Normal rank
@@ Property / cites work @@
+On age-period-cohort parametric mortality rate projections
+Normal rank
@@ Property / cites work @@
+Mortality modelling with Lévy processes
@@ Property / cites work: Mortality modelling with Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Markov set-chains
@@ Property / cites work: Markov set-chains / rank @@
+Normal rank
@@ Property / cites work @@
+A dynamic parameterization modeling for the age-period-cohort mortality
+Normal rank
@@ Property / cites work @@
+Dynamic modelling of life table data
@@ Property / cites work: Dynamic modelling of life table data / rank @@
+Normal rank
@@ Property / cites work @@
+Switching in systems and control
@@ Property / cites work: Switching in systems and control / rank @@
+Normal rank
@@ Property / cites work @@
+Modelling stochastic mortality for dependent lives
+Normal rank
@@ Property / cites work @@
+Mortality derivatives and the option to annuitise.
+Normal rank
@@ Property / cites work @@
+Survival models in a dynamic context: a survey
@@ Property / cites work: Survival models in a dynamic context: a survey / rank @@
+Normal rank
@@ Property / cites work @@
+On stochastic mortality modeling
@@ Property / cites work: On stochastic mortality modeling / rank @@
+Normal rank
@@ Property / cites work @@
+On the forecasting of mortality reduction factors
@@ Property / cites work: On the forecasting of mortality reduction factors / rank @@
+Normal rank
@@ Property / cites work @@
+Lee-Carter mortality forecasting with age-specific enhancement.
+Normal rank
@@ Property / cites work @@
+A cohort-based extension to the Lee-Carter model for mortality reduction factors
+Normal rank
@@ Property / cites work @@
+Calibrating affine stochastic mortality models using term assurance premiums
+Normal rank
@@ Property / cites work @@
+Affine stochastic mortality
@@ Property / cites work: Affine stochastic mortality / rank @@
+Normal rank
@@ Property / cites work @@
+MARKOV CHAINS AS A TOOL MEASURING EFFECTIVENESS OF A PSYCHOTHERAPY PROCESS
+Normal rank
@@ Property / cites work @@
+A proposition of generalized stochastic Milevsky–Promislov mortality models
+Normal rank
@@ Property / cites work @@
+Application of the Markov Chains in the Prediction of the Mortality Rates in the Generalized Stochastic Milevsky–Promislov Model
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank